Results 101 to 110 of about 164,535 (282)

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

The CEGM NLSM

Journal of High Energy Physics
Studying quantum field theories through geometric principles has revealed deep connections between physics and mathematics, including the discovery by Cachazo, Early, Guevara and Mizera (CEGM) of a generalization of biadjoint scalar amplitudes.
Nick Early
doaj   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, EarlyView.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source

Linear algebra and differential geometry on abstract Hilbert space [PDF]

International Journal of Mathematics and Mathematical Sciences, 2005
Isomorphisms of separable Hilbert spaces are analogous to isomorphisms of n‐dimensional vector spaces. However, while n‐dimensional spaces in applications are always realized as the Euclidean space Rn, Hilbert spaces admit various useful realizations as spaces of functions.
openaire   +3 more sources

Extreme 5-dimensional black holes with SU(2)-symmetric horizons

Journal of High Energy Physics
We show that the near horizon geometry of 5-dimensional extreme (i.e., degenerate) stationary vacuum black holes, with or without cosmological constant, whose event horizons exhibit SU(2) symmetry must be that of a Berger sphere.
Eric Bahuaud, Sharmila Gunasekaran, Hari K Kunduri, Eric Woolgar   +3 more
doaj   +1 more source

Signed Projective Cubes, a Homomorphism Point of View

Journal of Graph Theory, EarlyView.
ABSTRACT The (signed) projective cubes, as a special class of graphs closely related to the hypercubes, are on the crossroad of geometry, algebra, discrete mathematics and linear algebra. Defined as Cayley graphs on binary groups, they represent basic linear dependencies.
Meirun Chen, Reza Naserasr, Alessandra Sarti   +2 more
wiley   +1 more source

Discrete differential geometry and cluster algebras via TCD maps

, 2023
DFG, 195170736, TRR 109: Diskretisierung in Geometrie und ...
openaire   +3 more sources

Breaking the Exponential: Decoherence‐Driven Power‐Law Spontaneous Emission in Waveguide Quantum Electrodynamics

Laser &Photonics Reviews, EarlyView.
Introducing dynamical dephasing into the photon modes of a waveguide causes spontaneous emission to switch from conventional exponential decay to a robust power‐law behavior visible at short times. The power law arises from photon diffusion in a dynamically disordered environment, uncovering a previously unexplored, decoherence‐induced pathway to ...
Stefano Longhi
wiley   +1 more source

T-duality of emergent gravities on nilmanifolds

Journal of High Energy Physics
We study the transport of generalized metrics between topological T-dual nil-manifolds through a Lie algebraic point of view. Emergent gravities are generalized metrics with symplectic B-fields.
Raju Roychowdhury, Leonardo Soriani
doaj   +1 more source

The positive geometry for 𝜙 p interactions

Journal of High Energy Physics, 2019
Starting with the seminal work of Arkani-Hamed et al. [1], in [2], the “Ampli- tuhedron program” was extended to analyzing (planar) amplitudes in massless 𝜙 4 theory.
Prashanth Raman
doaj   +1 more source